If you look directly at an fxSunLight in a mission, it'll disappear.
I hate having to comment on this bug again, but it is worth looking at.
I've recently realised that this occurs in every map, differing from my previous post reading that it only happens on certain maps. I also realised that the draw distance seems to be causing the problem: If you set your draw distance low enough you can no longer see the fxSunLight. It gets really annoying while playing in Skylands.
EDIT: The visibleDistance and fogDistance also affect the fxSunLight.